Paper Title
Past and Future of Derivative/Future Market: Substantiation of Calendar Anomalies

Abstract
The study examines the calendar anomalies in four major commodities at Pakistan Mercantile Exchange (PMEX). This study uses OLS regression analysis technique which covers 6 years’ time period from January 2011 to December 2016. We have tested four major calendar anomalies namely; Monthly Anomaly, Turn-of-the-Year nomaly,Day-of-the-Week Anomaly, and Turn-of-the-Month Anomaly.Overall, results have supported the market inefficiency. The results of Monthly Anomaly show that the April and January effect are found for Crude Oil and KIBOR. Likewise, the returns for Palm Oil outperform in February and March. However, there is no evidence of Monthly anomaly for Gold. The results of Turn-of-the-Year anomaly show that Crude Oil has TOY anomaly and in KIBOR, Rest-of-the-year anomaly exists. No significant evidence is found for Gold and Palm Oil regarding the same. The Friday effect is found in Gold’ returns and Monday effect is found in KIBOR’ returns for Day-of-the-week anomaly. Turn-of-the-Month Anomaly shows that KIBOR’ returns are significantly high for the days of Rest-of-the-Month. Keywords - Calendar Anomalies, Pakistan Mercantile Exchange, Abnormal Commodity Returns, Behavioral Finance